At this point, you should be able to upload the test sketch to a tiny processor and use Serial Monitor for debugging.

Knock-Bang uses MISO (and GND) for communications. You only need to connect the target (the tiny processor) and programmer (the Uno) as would normally do for programming. No extra connections are needed.

So it seems that if you only need the output from the tiny you would choose KnockBang, and if you need to also send something to the tiny you would use RelaySerial ?

That's what I do. Knock-Bang is smaller, faster, more reliable, uses a pin already connected to the programmer, and consumes almost zero CPU time if the programmer is not connected. For simple debugging it is a great choice.

Debug.begin( 250000 );But you have to set the serial monitor to 19200 (I mean usually they should be the same) ?

Sort of. My ultimate goal is to provide three Tiny Debuggers: Serial, Knock-Bang, and Null. The parameter (the "250000") will eventually be the baud rate for Serial. For the other two debuggers the parameter is ignored. You can put what you'd like in there but 19200 is certainly a better choice.